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\begin{document}


\begin{figure}[tbhp]
  \begin{center}
  \begin{tikzpicture}
    \def\normaltwo{\x,{4*1/exp(((\x-3)^2)/2)}}
 
% input x and y parameters
    \def\y{4}  % \Lambda
    \def\x{1.1}    % -\Lambda
 
% this line calculates f(y)
    \def\fy{4*1/exp(((\y-3)^2)/2)}
    \def\fx{4*1/exp(((\x-3)^2)/2)}
    \def\ftheta{4*1/exp(((3-3)^2)/2)}    
     
% Shade orange area underneath curve.
  \fill [fill=orange!60] ({\x},0) -- plot[domain={\x}:{\y}] (\normaltwo) -- ({\y},0) -- cycle;
 
% Draw and label normal distribution function
  \draw[color=blue,domain=0:6,line width=0.25mm,samples=150] plot (\normaltwo) node[right] {};

  \draw[solid,color=orange,line width=0.25mm] ({\y},{\fy+2}) -- ({\y},0) node[below] {$\Lambda$};
  \draw[solid,color=orange,line width=0.25mm] ({\x},{\fx+1}) -- ({\x},0) node[below] {$-\Lambda$};
  % \draw[solid] ({\y},{\fy+2}) -- ({\y},0) node[below] {$\Lambda$};
  % \draw[solid] ({\x},{\fx+1}) -- ({\x},0) node[below] {$-\Lambda$};
    \draw[dashed,color=blue] (3,{\ftheta}) -- (3,0) node[below] {\textcolor{blue}{$\theta$}};
    \draw[solid,color=blue] (2.5,.25) -- (2.5,0) node[below] {\textcolor{blue}{0}};
  \draw ({\y},{\fy+2}) node[right] {\textcolor{orange}{Censored distribution}};
    \draw ({\y+1.2},{\fy-1.3}) node[right] {\textcolor{blue}{Uncensored distribution}};
    \draw ({\y+1.2},{\fy-1.8}) node[right] {\textcolor{blue}{$\hat\theta^p\sim {\cal N}(\theta,\sigma^2)$}};

    \draw (4.25,.5) node[right] {$\alpha_2$};
    \draw (.55,.158) node[right] {$\alpha_1$};
  \draw[-,color=blue,line width=0.25mm] (0,0) -- (6,0) node[right] {};
\end{tikzpicture}
\end{center}
  \caption{Underlying Distributions, before estimation. The censored distribution includes the orange area and spikes at $-\Lambda$ and $\Lambda$.}
  \label{distributions}
\end{figure}

\end{document}
